Agri Commodities

(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani. Updates: Rahul Somani.)

(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani.
Updates: Rahul Somani.)


.
ADTV (Rs. Bn)
Max OI (Rs. Bn)
Basis
Basis Risk (%)
NBP (%)
VR (lag = 2)
Volatility (%)
Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20
11.44 8.40 8.74 9.52 8.86 8.13 9.04 9.13 8.83 7.25 11.77 12.33 11.72 9.65
33.89 33.25 31.19 29.83 26.86 25.88 23.16 21.52 23.64 21.21 31.45 38.60 38.35 29.32
-0.78 -1.77 -1.80 -1.11 -1.51 -2.11 -0.93 -0.80 -1.92 -1.37 -0.06 0.03 -2.03 -2.63
16.23 16.62 11.93 13.70 13.05 13.92 15.09 14.11 17.91 25.23 18.21 15.22 19.58 19.64
71.49 95.02 91.04 67.22 85.30 95.93 80.73 69.50 74.55 79.19 48.63 44.16 79.82 91.51
0.97 0.93 0.96 0.75 1.19 0.96 0.98 0.89 0.90 0.91 0.74 0.72 0.90 1.00
19.64 19.14 14.99 16.67 13.93 13.67 15.59 16.48 17.70 18.59 19.04 16.41 20.25 21.30
Legend

ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

NCDEX: Bhavcopy data, FBIL: MIBOR rate, USD-INR reference rate